红利防御，双低为矛

Group 1: Report Industry Investment Rating - No information provided Group 2: Core Views of the Report - In June, the risk appetite of the equity market rebounded, but the performance of convertible bonds was weak. The CSI Convertible Bond Index rose 2.98% from June 1 to 27, while the CSI All-Share Index rose 3.13%. Year-to-date, the CSI Convertible Bond Index and the CSI All-Share Index increased by 6.65% and 3.43% respectively. Overall, the CSI Convertible Bond Index rose in tandem with the equity market in June but underperformed the CSI 500 (-0.42pct) and the CSI 1000 (-1.17pct) [3][12]. - The information technology sector rose significantly, and there was a large divergence between the underlying stocks and convertible bonds in the consumer staples sector. According to the Wind primary industry classification, the information technology sector performed best in June, with a gain of 4.65%, a significant improvement from May. This was mainly due to the substantial rise in the underlying stocks of the information technology sector, and its increase ranked first among the Wind primary industries. The market risk appetite increased significantly compared to the previous month. In addition, the underlying stocks of the financial and materials industries ranked second and third in terms of gains, but the convertible bonds did not show a significant increase. The industries where the underlying stocks and convertible bonds performed in opposite directions were consumer staples, utilities, healthcare, and consumer discretionary [4][22]. - In terms of convertible bond investment suggestions, as the uncertainty in the macro - environment continues, the option attribute of convertible bonds will further play a role. The dual - low strategy, which is both offensive and defensive, is beneficial for grasping the asymmetry of up and down movements. In terms of industry selection, it is believed that in July, the equity market tends to bet on policy expectations and interim report performance, and the risk appetite is difficult to rebound in the short term. Therefore, dividend - paying assets have more advantages in an uncertain environment, while the technology sector mainly benefits from the elasticity brought by policy catalysts [5]. Group 3: Summary by Relevant Catalogs 1. Convertible Bond Monthly Market Tracking - Overall performance: In June, the risk appetite of the equity market rebounded, but convertible bonds underperformed. The CSI Convertible Bond Index rose 2.98% from June 1 - 27, and the CSI All - Share Index rose 3.13%. Year - to - date, the CSI Convertible Bond Index and the CSI All - Share Index increased by 6.65% and 3.43% respectively. The CSI Convertible Bond Index underperformed the CSI 500 (-0.42pct) and the CSI 1000 (-1.17pct) [3][12]. - By price classification: In June, the Wind Low - price Convertible Bond Index rose 3.35%, significantly higher than the high - price (+2.52%) and medium - price (+2.72%) indices. Year - to - date, low - price convertible bonds (+6.99%) performed better than medium - price (+5.93%) and high - price (+4.76%) ones [3][13]. - By convertible bond outstanding: In June, small - cap convertible bonds slightly outperformed medium - and large - cap ones. The Wind Large - cap (+2.92%) and Medium - cap (+2.99%) Convertible Bond Indices performed basically the same, while the small - cap index had the largest increase (+3.23%). Year - to - date, the small - cap index (+10.26%) had a significantly higher increase than the large - cap index (+5.68%) and the medium - cap index (+5.25%) [16]. - By credit rating: In June, AA+ (+3.8%) and AA - and below (+3.6%) convertible bonds had relatively large increases. AAA (+2.4%) and AA (+2.86%) convertible bonds also achieved good returns. Year - to - date, low - rated convertible bonds still significantly outperformed high - rated ones, especially AA - and below convertible bonds, with a cumulative increase of up to 11.55% [3][18]. - By industry: The information technology industry's underlying stocks and convertible bonds rose significantly, and there was a large divergence between the underlying stocks and convertible bonds in the consumer staples sector. The information technology sector had a gain of 4.65% in June. The financial and materials industries' underlying stocks had relatively large increases, but the convertible bonds did not rise significantly. The industries where the underlying stocks and convertible bonds performed in opposite directions were consumer staples, utilities, healthcare, and consumer discretionary [4][22]. - By strategy index: In June, the dual - low strategy and the high - price low - premium strategy had similar increases. The dual - low strategy index with bond floor protection and underlying stock elasticity rose 2.45% in June and 6.47% year - to - date. In contrast, the high - price low - premium strategy, which focuses more on equity characteristics, rose 2.44% in June and 5.22% year - to - date, performing weaker overall than the dual - low strategy with bond floor protection [29]. 2. Convertible Bond Monthly Investment Suggestions 2.1 Strategy Suggestion: The Dual - Low Strategy is Both Offensive and Defensive - June dual - low portfolio performance: The June dual - low portfolio constructed included 44 targets. The top three industries with the largest number of targets were basic chemicals (8), banks (6), and light manufacturing (5). From June 1 to 27, the portfolio's return was 1.5% (equal - weighted allocation without individual bond screening), underperforming the CSI Convertible Bond Index by 2pct [32]. - July dual - low portfolio recommendation: In July, the standard for the dual - low value was adjusted to the bottom 5%, further narrowing the scope of targets to 22. The industries with the largest number of targets were basic chemicals (5), banks (4), and light manufacturing (2). The average convertible bond price, conversion value, and premium rate of the portfolio were 119 yuan, 109 yuan, and 10% respectively [35]. 2.2 Allocation Suggestion: Continue to Be Optimistic about Dividend - Paying and Technology Sectors - The technology sector's previous valuation adjustment was sufficient, the trading congestion declined, and it has now returned to the cost - effective range. It is recommended to focus on the highly prosperous robotics sector and related targets for self - controllability [37]. - High - dividend targets (banks, utilities) are favored during the interest rate decline period. Against the backdrop of the decline in the risk - free yield, the high dividends of bank stocks are more attractive. However, it should be noted that the outstanding scale of bank convertible bonds is decreasing, and attention should mainly be paid to the remaining low - price bank convertible bonds [7][37].